City Fund Management : PF Strategy

archived programs
Year-to-Date
N / A
Feb Performance
-0.07%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
0.71%
Sharpe (RFR=1%)
-0.13
CAROR
-
Assets
$ 20.0M
Worst DD
-0.07
S&P Correlation
-1.00

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
PF Strategy -0.07 - - - - - - 0.15
S&P 500 4.31 - - - - - - 94.36
+/- S&P 500 -4.38 - - - - - - -94.21

Strategy Description

Summary

Strategy Description A very short term (Intraday) diversified futures trading program – the manager will initially focus only on the 5 most liquid futures markets ES(E-mini S&P500), FESX(Eurostoxx50), ZB(LongTbonds), FGBL(Eurobundfutures) and BrentCrude. The manager also intends to... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Stock Indices
75.00%
Energy
25.00%
Composition Pie Chart

Summary

Strategy Description A very short term (Intraday) diversified futures trading program – the manager will initially focus only on the 5 most liquid futures markets ES(E-mini S&P500), FESX(Eurostoxx50), ZB(LongTbonds), FGBL(Eurobundfutures) and BrentCrude. The manager also intends to hold very limited to almost no overnight positions.

Investment Strategy

The fund focuses on catching short term periodic spikes/drops in market volumes in conjunction with prices rather than focusing purely on any shorter term price trends or even net directional trends at the overall market level. The volumetric basis of their trading makes them much more immune to shorter term market reversalsthanmosttraditionalCTAfundswithaverageholdingperiodsofaround1-5days

Risk Management

Strict profit taking algorithms combined with tight stop losses on each market will allow a small bias towards towards winning trades to build up over time. Performance simulations exhibit low correlations to both LT and STCTA’s hence it can act as a suitable stand alone alpha generator with strong diversification benefits for existing CTA Trader portfolios.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-0.07 1 - 1/1/2014 2/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
0.22 1 1/1/2014 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.07 1 2/1/2014 2/1/2014
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Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.